Basel II Disclosure Requirements Use Cases for Asset Securitisation (ABS) Frankfurt a. M., June 2005...
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Transcript of Basel II Disclosure Requirements Use Cases for Asset Securitisation (ABS) Frankfurt a. M., June 2005...
Basel II Disclosure RequirementsUse Cases for Asset Securitisation (ABS)
Frankfurt a. M., June 2005
Anlage zu den Anwendungsbeispielen des Fachgremiums „Offenlegungsanforderungen“
Tabelle 8 „Securitisation“
Contents
Overall ABS Disclosure Requirements
Sample Transactions
Use Cases for quantitative ABS Disclosures
Table 8 (Securitisation) – Qualitative Disclosure Requirements
a) General disclosure requirements with regard to securitisation:
a) Banks objectives regarding securitisation activities (incl. extent of credit risk transfer)
b) Roles played by the banks in the securitisation process and indication of the extent to the bank‘s involvement in each of them
c) Regulatory capital approach bank is using for securitisation exposure (e.g. RBA, SFA, IAA)
b) Detailed accounting information regarding securitisation activities:
Treatment as sale or financing
Recognition of gain on sale
Key assumptions for valuing retained interests (incl. significant changes and their impact)
Treatment of synthetic securitisations, if not covered by other accounting policies (e.g. on derivatives)
c) Names of ECAIs used for securitisations and types of securitisation exposure for which each agency is used
Overall ABS Disclosure Requirements
Table 8 (Securitisation) – Quantitative Disclosure Requirements
d) The total outstanding exposures securitised by the bank and subject to the securitisation framework (broken down into traditional/synthetic), by exposure type
e) For exposures securitised by the bank and subject to the securitisation framework (by exposure type):
d) amount of impaired/past due assets securitised; and
e) losses recognised by the bank during the current period
f) Aggregate amount of securitisation exposures retained or purchased broken down by exposure type
g) Aggregate amount of securitisation exposures retained or purchased and the associated IRB capital charges broken down into a meaningful number of risk weight bands. Exposures that have been deducted should be disclosed separately by type of underlying asset
h) For securitisations subject to the early amortisation treatment:
The aggregate drawn exposures attributed to the seller’s and investors’ interests,
The aggregate IRB capital charges incurred by the bank against its retained (i.e. the seller’s) shares of the drawn balances and un-drawn lines; and
the aggregate IRB capital charges incurred by the bank against the investor’s shares of drawn balances and undrawn lines
i) Banks using the standardised approach are also subject to disclosures (g) and (h), but should use the capital charges for the standardised approach
j) Summary of current year's securitisation activity, including the amount of exposures securitised (by exposure type), and recognised gain or loss on sale by asset type
Overall ABS Disclosure Requirements
Example I: Traditional Securitisation (ABCP)
OriginatorPurchase
SPV
Issuing
SPV
CP-
Investor
Consumer Loans
EUR 80 mn
Cash
EUR 76 mn
Loan-Agreement
Cash
EUR 71 mn
CP‘s (A-1 S&P)
EUR 71 mn
Cash
EUR 71 mn
Liquidity Facility
Provider
Interest Rate
Swap ProviderSub-ordinatedLoan Provider
EUR 71 mn EUR 5 mn
Sample Transactions
Bank XYZ
Notional Amount EUR 80 m n
Asset type Consum er Loans
Loss on Sale EUR 4 m n
Exposures securitised
Example II: Synthetic Securitisation (Originator)
Originator
(Bank XYZ)
Senior CDS
Counterparty
SPV
Class A Note -Investors
Cash
EUR 47 mn
CLN
Class B Note -Investors
Class C Note -Investors
Junior CDS
(retained by
Bank XYZ)
Notional
EUR 933 mn
Notional
EUR 20 mn
Notes Notional 25 mn
Cash
Notes Notional 7 mn
Cash
Notes Notional 15 mn
Cash
Sample Transactions
RWA or Capital Deductions
(50% Tier I/50 % Tier II)
Notional Amount EUR 1.000 m n
Mortgages EUR 500 m n
Consum er Loans EUR 500 m n
Exposures securitised
Asset type
Exposure TypeExposure
AmountABS IRB approach
Risk Weight
in EUR mn in %
Junior CDS 20 SFA 1250%
Bank XYZ Securitisation Exposure
Example III: Synthetic Securitisation (Investor)
Originator
Senior CDS
Counterparty
(Bank XYZ)
SPV
Class A Note -InvestorNotes Notional 25 mn
Cash
CLN
EUR 47 mn
Class B Note -Investor
Class C Note -Investor
Cash
Junior CDSCounterparty
Notes Notional 7 mn
Cash
Notes Notional 15 mn
Cash
Notional
EUR 933 mn
Notional
EUR 20 mn
Sample Transactions
Notional Amount EUR 1.000 m n
Mortgages EUR 500 m n
Consum er Loans EUR 500 m n
Exposures securitised
Asset type
Exposure Type
Exposure Amount
ABS IRB approach
Risk Weight
in EUR mn in %
Senior CDS 933 SFA 9%
Bank XYZ Securitisation Exposure
Table 8 (Securitisation) – Quantitative DisclosureA) Detailed information on securitised assets
(d) Total outstanding exposures securitised by type of transaction and exposure type*
(e) Detailed accounting information for exposures securitised by exposure type*
* Only relevant for transactions, where the bank is Originator; the term “exposure type” should be replaced by the term “asset type”
New order of disclosure requirements reflects our suggestion to consolidate disclosure with regard to A) securitised assets and B) securitisation exposures
Banking book transactions only
Use Cases for quantitative ABS Disclosures
** EAD acc. to STA/IRB rules
in mn EURConsumer
LoansAuto Lease Mortgages Other Sum
Am ount of im paired/pas t due assets securitisedLosses recognised
by the bank during the current period
4 4
Exposures in mn EUR**
Consumer Loans
Auto Lease Mortgages Other Sum
Traditional 80 80Synthetic 500 500 1.000
Sum 580 0 500 0 1.080
Table 8 (Securitisation) – Quantitative DisclosureA) Detailed information on securitised assets
(h) Securitisations subject to the early amortisation treatment by underlying asset type:
In contrast to (d) and (e) a different interpretation of “asset type” is required: Early Am treatment differs for retail and non-retail credit lines as well as committed and uncommitted exposures
Disclosure requirements with regard to the Originators Interest must not overlap with the general Credit Risk Framework disclosure. Originators interest “shall not be considered as a securitisation position”. This part of the underlying portfolio should be handled as if it has not been securitised
A single exposure view is not possible, since a specific portion of the capital requirements (e.g. 40%) of the underlying portfolio (KIRB) still constitutes Originators Interest. Thus, a disclosure on portfolio-level within the securitisation disclosure section seems reasonable
Use Cases for quantitative ABS Disclosures
* acc. to STA and/or IRB rules
in mn EURRetail
committedRetail
uncommittedNon-retail committed
Non-retail uncommitted
Total
Originators/Sellers Interest- Aggregate Drawn Exposures- Capital Charge* (Drawn and Undrawn Exposures)Investors Interest- Aggregate Drawn Exposures- Capital Charge* (Drawn and Undrawn Exposures)
Table 8 (Securitisation) – Quantitative DisclosureA) Detailed information on securitised assets
(j) Summary of current year's securitisation activity, including the amount of exposures securitised (by exposure type), and recognised gains or losses on sale by asset type
Only relevant for transactions, where the bank is Originator
Current year’s perspective requires continuous tracking in the case of replenishment structures
Use Cases for quantitative ABS Disclosures
* EAD acc. to STA/IRB rules
in mn EURConsumer
LoansAuto Lease Mortgages Other Sum
Securitised Exposures * 580 500 1.080Gains/Losses 4 4
Table 8 (Securitisation) – Quantitative DisclosureB) Detailed information on securitisation exposures(f) Aggregate exposure amounts for securitisation exposures retained or purchased by exposure
types in mn EUR
Granularity of On-Balance-Sheet / Off-Balance-Sheet items is fully discretionary
Regulatory ABS risk exposures only (e.g. in contrast to loss on sale equivalent to regulatory First Loss Piece of 4 mn EUR discount)
Exposure amount defined acc. to general Basel II specification (STA/IRB differences to be considered):
On-balance-sheet items: amount legally owed Off-balance-sheet items (except derivatives):
committed but un-drawn amount multiplied with CCF Market Risk Derivatives: credit equivalent amount Credit Derivatives: notional / nominal amount
Use Cases for quantitative ABS Disclosures
On-Balance-Sheet ItemsExposure Amount
in mn EURLoans (e.g. draws on liquidity facilities, subordinated loans)
5
Credit Enhancements (e.g. Cash Collateral)Investments in ABS (including on-balance-sheet items resulting from synthetic transactions, e.g. CLN)Sum On-Balance-Sheet Items 5
Off-Balance-Sheet ItemsExposure Amount
in mn EURLiquidity Facilities 71Derivatives (e.g. Interest Rate Swaps, FX-Swaps)
5
Off-Balance-Sheet Items resulting from synthetic transactions (e.g. Protections provider in Super Senior CDS)
933+20
Other Off-Balance-Sheet Items (e.g. letter of credit)Sum Off-Balance-Sheet Items 1.029
Table 8 (Securitisation) – Quantitative DisclosureB) Detailed information on securitisation exposures
(g) Detailed information on securitisation exposures retained or purchased and associated capital charges by risk weight bands
Use Cases for quantitative ABS Disclosures
A consolidated disclosure of deduction positions irrespective of underlying asset type within risk weight band “1.250%” is suggested
plus classification of securitisation exposures that were deducted by type of underlying asset
in mn EUR £20% > 20% £ 100% > 100% £ 500% > 500% £ 1250% 1250% Total
Exposure Amounts (STA/IRB) 933+71+5 5 20 1.034
Capital Charges (STA/IRB) 7 1 20 28